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研究常利率下的一个广义连续时间更新风险模型的(最终)破产概率,其中自回归过程模拟相依的索赔过程.通过更新的递推方法,得到了此模型破产概率的指数上、下界.
This paper studies the (final) bankruptcy probability of a generalized continuous-time renewal risk model under the constant interest rate, in which the autoregressive process simulates the dependent claims process.The exponential upper and lower bounds of the ruin probability of this model are obtained by the recursive method.